EBA欧洲银行-IT_549300BDV4C410CYAQ76_16页_3mb

2014 EU-wide Stress Test Summary: IT - Banca Piccolo Credito Valtellinese, Società Cooperativa

Core Information

• Bank Name: IT - Banca Piccolo Credito Valtellinese, Società Cooperativa
• LEI Code: 549300BDV4C410CYAQ76

Summary: Adverse Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 318 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 615 million EUR
• Common Equity Tier 1 (CET1) capital: 1,368 million EUR
• Total Risk Exposure: 18,203 million EUR
• CET1 ratio, %: 7.5%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 290 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 1,547 million EUR
• 3-year cumulative losses from the stress in the trading book: 15 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 80 million EUR
• CET1 capital: 662 million EUR
• Total Risk Exposure: 18,881 million EUR
• CET1 ratio, %: 3.5%

Memorandum Items

• Common EU wide CET1 Threshold (5.5%): 1,038 million EUR
• Total amount of instruments with mandatory conversion into ordinary shares in the 2014-2016 period: 0 million EUR
• Total Additional Tier 1 and Tier 2 instruments eligible for regulatory capital conversion or write-down: 0 million EUR

Summary: Baseline Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 318 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 615 million EUR
• CET1 capital: 1,368 million EUR
• Total Risk Exposure: 18,203 million EUR
• CET1 ratio, %: 7.5%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 799 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 862 million EUR
• 3-year cumulative losses from the stress in the trading book: 1 million EUR
• CET1 capital: 1,331 million EUR
• Total Risk Exposure: 18,819 million EUR
• CET1 ratio, %: 7.1%

Memorandum Items

• Common EU wide CET1 Threshold (8.0%): 1,505 million EUR

Credit Risk Analysis

Exposure Values (as of 31 December 2013)

• Non-defaulted: 23,835 million EUR
• Defaulted: 2,838 million EUR

Risk Exposure Amounts (as of 31 December 2013)

• Non-defaulted: 13,237 million EUR
• Defaulted: 3,320 million EUR

Value Adjustments and Provisions (as of 31 December 2013)

• Non-defaulted: 101 million EUR
• Defaulted: 1,395 million EUR

Securitisation and Re-securitisations Deducted from Capital

• Amount: 0 million EUR

Baseline Scenario: Impairment and Coverage Ratios

as of 31 December 2014

• Impairment rate: 0.08%
• Stock of Provisions: 4 million EUR
• Coverage Ratio - Default Stock: 38.80%

as of 31 December 2015

• Impairment rate: 0.08%
• Stock of Provisions: 4 million EUR
• Coverage Ratio - Default Stock: 38.86%

as of 31 December 2016

• Impairment rate: 0.08%
• Stock of Provisions: 5 million EUR
• Coverage Ratio - Default Stock: 38.92%

Adverse Scenario: Impairment and Coverage Ratios

as of 31 December 2014

• Impairment rate: 0.59%
• Stock of Provisions: 7 million EUR
• Coverage Ratio - Default Stock: 39.14%

as of 31 December 2015

• Impairment rate: 0.58%
• Stock of Provisions: 9 million EUR
• Coverage Ratio - Default Stock: 39.17%

as of 31 December 2016

• Impairment rate: 0.58%
• Stock of Provisions: 11 million EUR
• Coverage Ratio - Default Stock: 39.19%

Key Observations

• The bank experienced a decline in its CET1 ratio from 7.5% to 3.5% under the adverse scenario by 2016, indicating a significant impact on capital adequacy.
• Under the baseline scenario, the CET1 ratio slightly decreased from 7.5% to 7.1% by 2016, suggesting a more moderate impact.
• Impairment losses increased significantly in both scenarios, with the adverse scenario showing a much higher cumulative loss compared to the baseline.
• The risk exposure increased in both scenarios, with a more pronounced rise in the adverse scenario.
• No instruments with mandatory conversion or write-down were reported in the 2014-2016 period, indicating no capital adjustments due to these instruments.
• The coverage ratio for default stock remained relatively stable, with slight variations between the scenarios and years.